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arXiv · 1803.01017

A limit theorem for a class of stationary increments L\'{e}vy moving average process with multiple singularities

Mathias Mørck Ljungdahl·Mark Podolskij
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Abstract

In this paper we present some new limit theorems for power variations of stationary increment L\'{e}vy driven moving average processes. Recently, such asymptotic results have been investigated in [Ann. Probab. 45(6B) (2017), 4477--4528, Festschrift for Bernt {\O}ksendal, Stochastics 81(1) (2017), 360--383] under the assumption that the kernel function potentially exhibits a singular behaviour at $0$. The aim of this work is to demonstrate how some of the results change when the kernel function has multiple singularity points. Our paper is also related to the article [Stoch. Process. Appl. 125(2) (2014), 653--677] that studied the same mathematical question for the class of Brownian semi-stationary models.

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Mathias Mørck Ljungdahl, Mark Podolskij. 2018-03-02. A limit theorem for a class of stationary increments L\'{e}vy moving average process with multiple singularities. https://doi.org/10.15559/18-vmsta111

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